Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0108 |
| Annualized Std Dev | 0.1825 |
| Annualized Sharpe (Rf=0%) | -0.0592 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1564 |
| Quartile 1 | -0.0046 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0051 |
| Maximum | 0.1758 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0115 |
| Skewness | -0.5330 |
| Kurtosis | 34.1101 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0084 |
| Gain Deviation | 0.0086 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0132 |
| Downside Deviation (Rf=0%) | 0.0084 |
| Downside Deviation (0%) | 0.0084 |
| Maximum Drawdown | 0.5948 |
| Historical VaR (95%) | -0.0156 |
| Historical ES (95%) | -0.0270 |
| Modified VaR (95%) | -0.0127 |
| Modified ES (95%) | -0.0127 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-03-22 | 2008-12-16 | NA | -0.5948 | 5537 | 2452 | NA |
| 1999-01-06 | 1999-01-19 | 1999-01-29 | -0.0217 | 17 | 9 | 8 |
| 1999-02-23 | 1999-02-23 | 1999-03-11 | -0.0217 | 13 | 1 | 12 |
| 1999-02-17 | 1999-02-17 | 1999-02-22 | -0.0072 | 4 | 1 | 3 |
| 1999-03-15 | 1999-03-15 | 1999-03-17 | -0.0072 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.7 | 0 | -0.7 | 0.7 | 0.7 | -0.8 | 0 | 0 | 0 | -0.9 | 2.7 | -1.9 | -0.9 |
| 2000 | 0 | 0.9 | 0.9 | 0.9 | 0.9 | 1.7 | 0 | 0 | 0 | 1.7 | 2.7 | 0.9 | 11 |
| 2001 | 0.1 | 0.9 | -1.2 | 0.6 | 0.6 | 0.7 | 0.4 | -0.2 | 0.2 | 2.2 | -0.4 | 2 | 6 |
| 2002 | 0.3 | -0.9 | 0.7 | 0.8 | 0.1 | -0.6 | 1.2 | 0.4 | -0.3 | 0.7 | 0.4 | -0.1 | 2.6 |
| 2003 | 0.6 | 0.4 | 0.1 | 0.3 | 1.6 | 0.5 | 1.4 | 0 | 1.1 | 0.8 | 0.7 | 0.4 | 8 |
| 2004 | 0.4 | 0.5 | 0 | 2.6 | 2.1 | 0.8 | 0.4 | 0.5 | 0.8 | -0.3 | 0 | 0.3 | 8.4 |
| 2005 | 0.5 | -0.1 | 2.9 | 0.1 | 0.5 | 0.8 | 0.1 | 1.3 | -0.1 | 0.2 | 0.4 | 2.1 | 9.1 |
| 2006 | -0.7 | -0.2 | 0.4 | 0.2 | 1.1 | -0.3 | -0.9 | 0.7 | -0.4 | 0.2 | -0.7 | -0.4 | -0.8 |
| 2007 | -0.2 | 0 | 0.4 | 0.6 | 0.1 | 0.1 | 0.3 | -0.1 | 1.6 | 0.3 | 0.6 | -0.6 | 2.9 |
| 2008 | 1.1 | -1.8 | -0.1 | -1.3 | 0.3 | 0 | -0.1 | -0.8 | 6.8 | -2.2 | 0.4 | 2 | 4 |
| 2009 | 1.8 | 0.6 | 2.5 | 0.7 | 0.5 | 1.1 | -1.1 | 2.3 | 0.2 | -0.9 | -0.6 | 0 | 7.3 |
| 2010 | 0.4 | 0.8 | 0 | -1 | -0.5 | 0.1 | 0.1 | 0.1 | 0 | -0.8 | -2 | 1.6 | -1.1 |
| 2011 | 2.2 | 0.2 | -0.8 | 0.6 | 0.3 | 0.5 | 0.5 | -1 | -0.7 | -0.4 | 0.3 | 0.4 | 1.9 |
| 2012 | -0.4 | -1.1 | 0 | 0.1 | -0.9 | 1.4 | 0.5 | 0.3 | 0.5 | -0.4 | -0.2 | 0.9 | 0.7 |
| 2013 | -0.7 | 1.1 | 0.1 | -0.8 | -2.3 | 0.7 | -0.5 | -0.5 | -0.3 | -0.6 | 0 | 0.8 | -2.9 |
| 2014 | -0.5 | 0.2 | -1.2 | 0.6 | 0 | 0 | -0.5 | 0.5 | 0.3 | -0.3 | 0 | 0.3 | -0.6 |
| 2015 | 1 | 0.4 | -0.6 | 0 | -0.2 | 0 | 0.6 | 0.3 | -0.3 | 0 | -1.2 | -1.3 | -1.2 |
| 2016 | 0.7 | 1.6 | 0.6 | 0.6 | 3.3 | 0.4 | 0.5 | 0 | 0.7 | 1.7 | -1.9 | -0.5 | 7.8 |
| 2017 | -1.1 | -0.1 | 0.3 | 0.6 | 0.1 | -0.1 | 0.5 | 0.3 | 0.3 | 0.4 | 0.3 | 0.4 | 1.8 |
| 2018 | 0.7 | 0.3 | -0.2 | 0.5 | 0.5 | 0.2 | 1.2 | 0 | 0.5 | 1.7 | 1.1 | -0.3 | 6.2 |
| 2019 | 0.9 | 0.6 | 0.3 | 0.4 | 0.6 | 0.4 | 0.4 | -0.3 | 0.1 | 0.2 | -0.3 | 0 | 3.5 |
| 2020 | 0.3 | -3.7 | -3.3 | -0.3 | 0.6 | 0 | 0.3 | 0.3 | 0.9 | -0.2 | -1.4 | 1.4 | -5.1 |
| 2021 | 0 | 0.6 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
